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日元兑美元外汇市场风险溢价的时间序列性质AI 解读

Abstract In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex‐ante time‐series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR‐generated expectations are then used to construct a risk premium time‐series. This risk premium…

商品期货最优套期保值比率的双变量 GARCH 估计AI 解读

Abstract Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of…

资产收益的条件异方差：一种新方法AI 解读

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and…

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Testable implications are derived in a present-value borrowing-constraint model for the U.S. federal government. Critical values for unit-root and cointegration tests are calculated with Monte Carlo studies. Cointegration techniques are employed to determine whether the government has been involved in perpetual debt financing in recent years. The data reject this assertion.

走向原油市场效率AI 解读

Abstract The ‘official’ (OPEC) prices of crude oil before the collapse in the oil market in the mid‐1980s can be interpreted as contract prices and analysed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex‐post spot prices at the time of delivery. Efficiency is rejected for the sample period 1978–1985 as a whole,…

基于似然的渐近预测函数AI 解读

This paper develops asymptotic prediction functions that approximate the shape of the density of future observations and correct for parameter uncertainty. The functions are based on extensions to a definition of predictive likelihood originally suggested by S. L. Lauritzen (1974) and D. Hinkley (1979). The prediction function is shown to possess efficiency properties based on the Kullback-Leibler measure of information loss. Examples of the application of the prediction…

股票收益中的异方差AI 解读

ABSTRACT We use predictions of aggregate stock return variances from daily data to estimate time‐varying monthly variances for size‐ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time‐varying betas. Implications of heteroskedasticity and time‐varying betas for tests of the capital asset pricing model (CAPM) are then documented. Accounting for heteroskedasticity increases the evidence that…

GARCH(1,1) 模型的平稳性与持续性AI 解读

This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process. As a special case, it is shown that the IGARCH(1,1) process with no drift converges almost surely to zero, while IGARCH(1,1) with a positive drift is strictly stationary and ergodic. We examine the persistence of shocks to conditional variance in the GARCH(l.l) model, and show that whether these shocks "persist" or not depends crucially on the definition…

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利用资产支付的条件矩推断跨期边际替代率波动AI 解读

Previously Hansen and Jagannathan (1990a) derived and computed mean-standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by asset market data. These frontiers give the lower bounds on the standard deviations as a function of the mean. In this paper we develop a strategy for utilizing conditioning information efficiently, and hence improve on the standard deviation bounds computed by Hansen and Jagannathan. We implement this strategy…

重新审视残差风险AI 解读

The Capital Asset Pricing Model in conjunction with the usual market model assumptions implies that well-diversified portfolios should be mean variance efficient and, hence, betas computed with respect to such indices should completely explain expected returns on individual assets. In fact, there is now a large body of evidence indicating that the market proxies usually employed in empirical tests are not mean variance efficient. Moreover, there is considerable evidence…

股票条件波动率的替代模型AI 解读

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the…

因子 ARCH 协方差结构下的资产定价AI 解读

In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk premia and volatilities in a multivariate system. One and two FACTOR-ARCH models are succussfully applied to pricing of Treasury bills. The results show stability over time, pass a variety of diagnostic tests, and compare favorably with previous empirical…

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含有序不可观测变量的线性模型两步估计：公司债券应用AI 解读

This article proposes a two-step method for estimating the impact of bond indenture provisions and other financial variables on the risk and yields of investment-grade and speculative corporate bonds. In the first step, the default risk of bonds is estimated as a function of indenture provisions and the characteristics of bonds and the issuing firms by an ordered probit. In the second step, the effects of default risk and bond characteristics on yields are estimated after a…

均衡中的家庭选择AI 解读

This paper is an empirical investigation of equilibrium restrictions on household consumption and male labor supply. It exploits a simple factor structure, rationalized by two assumptions, that household allocations are Pareto optimal and that the labor market is competitive. The paper estimates household preferences, and tests how well this parsimonious factor structure represents panel data on married couples and time series data on asset returns. Most of the estimates are…

This article examines the persistence of the variance, as measured by the generalized autoregressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate the extent to which persistence in variance may be overstated because of the existence of, and failure to take account of, deterministic structural shifts in the model. Both an analysis of daily stock-return data and a Monte Carlo simulation experiment confirm the hypothesis that…

利用总量时间序列估计跨期替代模型AI 解读

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time.In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach.Our empirical analyses focuses on three questions: (1) Can the services from durable and…

给定投资组合效率的检验AI 解读

A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex post mean-variance efficient frontier. Several intuitive interpretations of the test are provided, including a simple mean-standard deviation geometric explanation. A univariate…

条件约束异质过程的半非参数估计：资产定价应用AI 解读

A. Ronald Gallant, George Tauchen, Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, Vol. 57, No. 5 (Sep., 1989), pp. 1091-1120

时间聚合与连续时间资本资产定价模型AI 解读

ABSTRACT We examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous‐time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous‐time CAPM at an unconditional level using size portfolio returns. The results indicate that the…

This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of ARCH and GARCH specifications, a number of nonnormal error densities, and a comprehensive set of diagnostic checks. It finds that ARCH and GARCH models can usually remove all heteroscedasticity in price changes in all five currencies. Goodness-of-fit diagnostics indicate that exponential GARCH…